Your desktop is not in way trouble. An exception basically means that some code of the program asked Windows to do an illegal operation. In this case, the illegal operation may have been as simple as the program asking Windows to unload a module - since it was closing - and Windows didn't understand what it was referring to. Probably just a bug in the code of Video Download Capture. A lot of times exceptions occur at the chip level, or, more likely in this case, in one of the driver's that Windows is using to work with your CPU. If you don't see any other problems, it's probably just a minor bug where Video Download Capture doesn't play well with one minor function of your CPU or one of it's drivers.
Windows has gone to virtualization to get around this problem - that's what .net framework does - but a lot of the smaller developers don't know how to use it. Didn't check out Video Download Capture, but if it's based on the old system - Visual Basic - then hardware and driver conflicts on certain machines aren't that surprising. If that's the only problem you have, then don't worry about it. Even if not, it's very unlikely Video Download Capture will damage anything just by running - any damage it could do already happened in the install. And probably didn't. I recommend you look for posts from Fubar and mike in the comments section. They, and occassionally one or two others, will analyze how clean the install is. Fubar usually makes a point of it. If you go back, you can probably find his post on that day. But, it's more likely that the software just doesn't play as nice with your hardware as it could.